Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0358
Annualized Std Dev 0.2163
Annualized Sharpe (Rf=0%) -0.1656

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1647
Quartile 1 -0.0054
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0056
Maximum 0.2277
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0136
Skewness 0.0311
Kurtosis 29.5706

Downside Risk

Close
Semi Deviation 0.0099
Gain Deviation 0.0106
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.7714
Historical VaR (95%) -0.0189
Historical ES (95%) -0.0332
Modified VaR (95%) -0.0142
Modified ES (95%) -0.0142
From Trough To Depth Length To Trough Recovery
1999-01-28 2008-11-20 NA -0.7714 5573 2471 NA
1999-01-06 1999-01-07 1999-01-12 -0.0164 5 2 3
1999-01-13 1999-01-13 1999-01-15 -0.0082 3 1 2
1999-01-21 1999-01-21 1999-01-27 -0.0080 5 1 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.6 0 0 0.8 0 -0.8 -0.8 0 1.9 0 0 5.4 4.9
2000 1 -2.9 0 0 1 -1 0 -1.9 0 2 -5.4 -1.1 -8.3
2001 -1.3 -0.5 0.5 0.9 -1.3 -1.1 0 -0.4 0.8 -2.8 2.1 -1.8 -4.8
2002 2.2 -0.4 -0.2 1.1 2.2 0.6 -2.8 0.4 0.2 -0.5 3.2 0.3 6.5
2003 1.6 1.8 0.2 -0.7 0.2 0.2 0.5 0.5 2.5 0 0.2 0.2 7.6
2004 2.2 -2.1 0 1.7 -0.5 -0.2 0.9 0 -0.7 -0.6 0 0.2 0.9
2005 -0.2 0 -0.2 0 -0.2 -0.4 -1.1 -0.5 -1 -0.3 -0.3 0.3 -3.8
2006 -0.2 -1 -0.5 0.3 -0.5 -0.5 0.7 -0.7 -0.2 -0.2 -1.8 0.7 -4
2007 -1.3 -2 0.5 0.2 -0.2 -0.7 -1.3 0.3 0.6 -0.5 2.8 0.3 -1.6
2008 -1.6 -2 1.8 -1.4 -1.1 -1.2 -1.2 -0.9 -3.6 4.3 -4.9 7.5 -5
2009 2 -2.2 0 1.6 2.2 -0.3 1 -1.6 0 -1.2 2.1 0.3 3.7
2010 0.9 -0.3 0.6 0 0 -0.6 -0.3 0.6 0.8 0.8 0.3 0 2.8
2011 0 -0.3 0 0.8 -0.3 1.3 3.3 1.6 -3.1 -0.6 0.3 -0.5 2.6
2012 0.8 0.3 -0.3 0.5 -2.1 1 0.5 0.5 1.3 1.2 0.5 0 4.3
2013 1 0 0 -0.5 -1.7 -0.3 -1.3 0.3 0.3 -0.3 0.3 0 -2.3
2014 -0.3 0.8 0.6 0 -0.6 -0.3 0.6 1.1 -0.3 0.3 0 1.9 3.8
2015 -0.3 0.6 0.3 0.3 -0.3 -0.3 0.7 0.7 -0.7 0 0.3 -0.7 0.6
2016 -0.2 0.4 -1.4 0.3 0 0.4 0.3 -0.6 0.3 -0.6 0 -0.3 -1.5
2017 0.3 -0.3 0.3 0 0 0.9 0 0 0.3 0 -0.3 0.3 1.5
2018 0.9 0 0 0 0.6 0.3 -0.6 -0.6 0.6 2 -0.3 -0.5 2.3
2019 0 0.2 0.3 0 -1 0 -0.3 0 -0.3 -0.3 0.2 -0.6 -1.9
2020 -0.6 -3.2 -3.8 -0.8 0.8 -0.7 0.4 1.1 1 -1.5 0.3 -1.9 -8.7
2021 -0.3 0.6 0.6 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  7.5  SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  7.62 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  7.56 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  7.5  SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  7.5  SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  7.5  SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart